Adds support for VectorQuadraticFunction (#179)

* add ParametricVectorQuadraticFunction

* use at_variable and remove unecessary calls

* start addressing variable coefficients

* update tests

* fix bugs

* fix bug

* update add constraint

* update test

* update jump test

* fix test

* rm update

* update add_constraint

* attemp replace

* update functions

* update

* update

* working first set

* update tol

* update tol

* finish

* change tests names

* Apply suggestions from code review

---------

Co-authored-by: Joaquim <joaquimdgarcia@gmail.com>

Author: andrewrosemberg

src/MOI_wrapper.jl

@@ -51,6 +51,22 @@ function _has_parameters(f::MOI.ScalarQuadraticFunction{T}) where {T}
     return false
 end
 
+function _has_parameters(f::MOI.VectorQuadraticFunction)
+    # quadratic part
+    for qt in f.quadratic_terms
+        if _is_parameter(qt.scalar_term.variable_1) || _is_parameter(qt.scalar_term.variable_2)
+            return true
+        end
+    end
+    # affine part
+    for at in f.affine_terms
+        if _is_parameter(at.scalar_term.variable)
+            return true
+        end
+    end
+    return false
+end
+
 function _cache_multiplicative_params!(
     model::Optimizer{T},
     f::ParametricQuadraticFunction{T},
@@ -65,6 +81,21 @@ function _cache_multiplicative_params!(
     return
 end
 
+function _cache_multiplicative_params!(
+    model::Optimizer{T},
+    f::ParametricVectorQuadraticFunction{T},
+) where {T}
+    for term in f.pv
+        push!(model.multiplicative_parameters_pv,
+              term.scalar_term.variable_1.value)
+    end
+    for term in f.pp
+        push!(model.multiplicative_parameters_pp, term.scalar_term.variable_1.value)
+        push!(model.multiplicative_parameters_pp, term.scalar_term.variable_2.value)
+    end
+    return
+end
+
 #
 # Empty
 #
@@ -88,6 +119,8 @@ function MOI.is_empty(model::Optimizer)
            isempty(model.quadratic_outer_to_inner) &&
            isempty(model.quadratic_constraint_cache) &&
            isempty(model.quadratic_constraint_cache_set) &&
+           isempty(model.vector_quadratic_constraint_cache) &&
+           isempty(model.vector_quadratic_constraint_cache_set) &&
            # obj
            model.affine_objective_cache === nothing &&
            model.quadratic_objective_cache === nothing &&
@@ -123,6 +156,8 @@ function MOI.empty!(model::Optimizer{T}) where {T}
     empty!(model.quadratic_outer_to_inner)
     empty!(model.quadratic_constraint_cache)
     empty!(model.quadratic_constraint_cache_set)
+    empty!(model.vector_quadratic_constraint_cache)
+    empty!(model.vector_quadratic_constraint_cache_set)
     # obj
     model.affine_objective_cache = nothing
     model.quadratic_objective_cache = nothing
@@ -538,6 +573,10 @@ function MOI.get(
             return _original_function(
                 model.quadratic_constraint_cache[inner_ci],
             )
+        elseif haskey(model.vector_quadratic_constraint_cache, inner_ci)
+            return _original_function(
+                model.vector_quadratic_constraint_cache[inner_ci],
+            )
         else
             return convert(
                 MOI.ScalarQuadraticFunction{T},
@@ -583,6 +622,9 @@ function MOI.get(
     if haskey(model.quadratic_outer_to_inner, ci)
         inner_ci = model.quadratic_outer_to_inner[ci]
         return model.quadratic_constraint_cache_set[inner_ci]
+    elseif haskey(model.vector_quadratic_constraint_cache, ci)
+        inner_ci = model.vector_quadratic_constraint_cache[ci]
+        return model.vector_quadratic_constraint_cache_set[inner_ci]
     elseif haskey(model.affine_outer_to_inner, ci)
         inner_ci = model.affine_outer_to_inner[ci]
         return model.affine_constraint_cache_set[inner_ci]
@@ -858,6 +900,80 @@ function MOI.add_constraint(
     end
 end
 
+function _is_vector_affine(f::MOI.VectorQuadraticFunction{T}) where {T}
+    return isempty(f.quadratic_terms)
+end
+
+function _is_vector_affine(::MOI.VectorAffineFunction{T}) where {T}
+    return true  # VectorAffineFunction is always affine
+end
+
+function _add_constraint_with_parameters_on_function(
+    model::Optimizer,
+    f::MOI.VectorQuadraticFunction{T},
+    set::S,
+) where {T,S}
+    # Create parametric vector quadratic function
+    pf = ParametricVectorQuadraticFunction(f)
+    _cache_multiplicative_params!(model, pf)
+    _update_cache!(pf, model)
+    
+    # Get the current function after parameter substitution
+    func = _current_function(pf)
+    if !_is_vector_affine(func)
+        fq = func
+        inner_ci = MOI.add_constraint(model.optimizer, fq, set)
+        model.last_quad_add_added += 1
+        outer_ci = MOI.ConstraintIndex{MOI.VectorQuadraticFunction{T},S}(
+            model.last_quad_add_added,
+        )
+        model.quadratic_outer_to_inner[outer_ci] = inner_ci
+        model.constraint_outer_to_inner[outer_ci] = inner_ci
+    else
+        fa = MOI.VectorAffineFunction(func.affine_terms, func.constants)
+        inner_ci = MOI.add_constraint(model.optimizer, fa, set)
+        model.last_quad_add_added += 1
+        outer_ci = MOI.ConstraintIndex{MOI.VectorQuadraticFunction{T},S}(
+            model.last_quad_add_added,
+        )
+        # This part is used to remember that ci came from a quadratic function
+        # It is particularly useful because sometimes the constraint mutates
+        model.quadratic_outer_to_inner[outer_ci] = inner_ci
+        model.constraint_outer_to_inner[outer_ci] = inner_ci
+    end
+    model.vector_quadratic_constraint_cache[inner_ci] = pf
+    model.vector_quadratic_constraint_cache_set[inner_ci] = set
+    return outer_ci
+end
+
+function MOI.add_constraint(
+    model::Optimizer,
+    f::MOI.VectorQuadraticFunction{T},
+    set::MOI.AbstractVectorSet,
+) where {T}
+    if !_has_parameters(f)
+        return _add_constraint_direct_and_cache_map!(model, f, set)
+    else
+        return _add_constraint_with_parameters_on_function(model, f, set)
+    end
+end
+
+function MOI.delete(
+    model::Optimizer,
+    c::MOI.ConstraintIndex{F,S},
+) where {F<:MOI.VectorQuadraticFunction,S<:MOI.AbstractSet}
+    ci_inner = model.constraint_outer_to_inner[c]
+    if haskey(model.quadratic_constraint_cache, ci_inner)
+        delete!(model.quadratic_constraint_cache, ci_inner)
+        delete!(model.quadratic_constraint_cache_set, ci_inner)
+        MOI.delete(model.optimizer, ci_inner)
+    else
+        MOI.delete(model.optimizer, c)
+    end
+    delete!(model.constraint_outer_to_inner, c)
+    return
+end
+
 function MOI.delete(
     model::Optimizer,
     c::MOI.ConstraintIndex{F,S},
@@ -1411,6 +1527,13 @@ function MOI.get(
     return model.quadratic_constraint_cache[F, S]
 end
 
+function MOI.get(
+    model::Optimizer,
+    ::DictOfParametricConstraintIndicesAndFunctions{F,S,P},
+) where {F,S,P<:ParametricVectorQuadraticFunction}
+    return model.vector_quadratic_constraint_cache[F, S]
+end
+
 """
     NumberOfPureVariables
 

src/ParametricOptInterface.jl

@@ -137,6 +137,10 @@ mutable struct Optimizer{T,OT<:MOI.ModelLike} <: MOI.AbstractOptimizer
     quadratic_constraint_cache::DoubleDict{ParametricQuadraticFunction{T}}
     # Store original constraint set (inner key)
     quadratic_constraint_cache_set::DoubleDict{MOI.AbstractScalarSet}
+    # Vector quadratic function data
+    vector_quadratic_constraint_cache::DoubleDict{ParametricVectorQuadraticFunction{T}}
+    # Store original constraint set (inner key)
+    vector_quadratic_constraint_cache_set::DoubleDict{MOI.AbstractVectorSet}
 
     # objective function data
     # Clever cache of data (at most one can be !== nothing)
@@ -209,6 +213,8 @@ mutable struct Optimizer{T,OT<:MOI.ModelLike} <: MOI.AbstractOptimizer
             DoubleDict{MOI.ConstraintIndex}(),
             DoubleDict{ParametricQuadraticFunction{T}}(),
             DoubleDict{MOI.AbstractScalarSet}(),
+            DoubleDict{ParametricVectorQuadraticFunction{T}}(),
+            DoubleDict{MOI.AbstractVectorSet}(),
             # objective
             nothing,
             nothing,

src/duals.jl

@@ -9,6 +9,7 @@ function _compute_dual_of_parameters!(model::Optimizer{T}) where {T}
     _update_duals_from_affine_constraints!(model)
     _update_duals_from_vector_affine_constraints!(model)
     _update_duals_from_quadratic_constraints!(model)
+    _update_duals_from_vector_quadratic_constraints!(model)
     if model.affine_objective_cache !== nothing
         _update_duals_from_objective!(model, model.affine_objective_cache)
     end
@@ -174,3 +175,33 @@ function _is_additive(model::Optimizer, cp::MOI.ConstraintIndex)
     end
     return true
 end
+
+function _update_duals_from_vector_quadratic_constraints!(model::Optimizer)
+    for (F, S) in keys(model.vector_quadratic_constraint_cache.dict)
+        vector_quadratic_constraint_cache_inner = model.vector_quadratic_constraint_cache[F, S]
+        _compute_parameters_in_ci!(model, vector_quadratic_constraint_cache_inner)
+    end
+    return
+end
+
+function _compute_parameters_in_ci!(
+    model::Optimizer{T},
+    pf::ParametricVectorQuadraticFunction{T},
+    ci::MOI.ConstraintIndex{F,S},
+) where {F,S,T}
+    cons_dual = MOI.get(model.optimizer, MOI.ConstraintDual(), ci)
+    for term in pf.p
+        model.dual_value_of_parameters[p_val(term.scalar_term.variable)] -=
+            cons_dual[term.output_index] * term.scalar_term.coefficient
+    end
+    for term in pf.pp
+        coef = ifelse(term.scalar_term.variable_1 == term.scalar_term.variable_2, T(1 // 2), T(1))
+        model.dual_value_of_parameters[p_val(term.scalar_term.variable_1)] -=
+            coef * cons_dual[term.output_index] * term.scalar_term.coefficient *
+            MOI.get(model, ParameterValue(), term.scalar_term.variable_2)
+        model.dual_value_of_parameters[p_val(term.scalar_term.variable_2)] -=
+            coef * cons_dual[term.output_index] * term.scalar_term.coefficient *
+            MOI.get(model, ParameterValue(), term.scalar_term.variable_1)
+    end
+    return
+end